Portfolio Construction Utilizing Lead-Lag Relationship Discovery: Identify leaders and followers in financial markets to inform strategic portfolio construction.
☆35Dec 6, 2023Updated 2 years ago
Alternatives and similar repositories for lead-lag-portfolios
Users that are interested in lead-lag-portfolios are comparing it to the libraries listed below
Sorting:
- ☆19May 17, 2020Updated 5 years ago
- Exploring economic and market regime forecasting using machine learning techniques and the CRISP-DM framework.☆17Aug 24, 2023Updated 2 years ago
- Using reinforcement learning to make markets in the high frequency trading setting.☆26Apr 8, 2025Updated 11 months ago
- ☆22Aug 10, 2022Updated 3 years ago
- Accepted at WWW 25 Industrial Track (oral)☆18Jun 6, 2025Updated 9 months ago
- ☆46Oct 17, 2025Updated 4 months ago
- Python implementation of the paper 'Outcome-Adaptive Lasso: Variable Selection for Causal Inference'☆17Jul 17, 2020Updated 5 years ago
- ☆11Sep 6, 2023Updated 2 years ago
- ☆16Feb 7, 2021Updated 5 years ago
- The Interactive Frontend Built for Aioquant.☆13May 11, 2022Updated 3 years ago
- Modern machine learning and statistical toolbox for financial researchers and practitioners☆12Jul 14, 2023Updated 2 years ago
- This was a university group project supported by the HSBC Artificial Intelligence team. It involved applying machine learning algorithms …☆14Nov 13, 2023Updated 2 years ago
- 基于机器学习的多因子研究框架☆14Jun 22, 2020Updated 5 years ago
- Estimation of the lead-lag parameter from non-synchronous data.☆136Apr 1, 2025Updated 11 months ago
- Limit Order Book Convolutional Neural Network trading bot☆14Jul 24, 2022Updated 3 years ago
- ☆13May 21, 2019Updated 6 years ago
- Trading with ML on binance microstructure market data☆15Dec 29, 2023Updated 2 years ago
- A log likelihood process for optimal entry / exit / stopping.☆14Jun 15, 2022Updated 3 years ago
- MarketGPT: Developing a Pre-trained transformer (GPT) for Modeling Financial Time Series☆17Sep 5, 2025Updated 6 months ago
- A Quantitative Finance Engineering Project☆15Apr 18, 2023Updated 2 years ago
- ☆38Nov 30, 2022Updated 3 years ago
- Asynchronous driven quantitative trading framework.☆15May 14, 2023Updated 2 years ago
- Codes and data for paper "Can LLM-based Financial Investing Strategies Outperform the Market in Long Run?".☆32Mar 1, 2026Updated last week
- ☆25Nov 17, 2025Updated 3 months ago
- Extracting the "dot plot" economic projections posted online by the Federal Open Market Committee☆25Updated this week
- Unofficial PyTorch implementation of FactorVAE☆21Jun 1, 2023Updated 2 years ago
- ☆21Jan 30, 2022Updated 4 years ago
- Simple wrapper for machine learning models in the context of lead-lag projection modelling.☆26Dec 5, 2018Updated 7 years ago
- A study on volume-price factor stock selection model based on wavelet transform and multitask self-attention network☆100May 16, 2025Updated 9 months ago
- Undergraduate thesis, Seoul National University Dept. of Economics — "Modeling Volatility and Risk Spillover Between the Financial Market…☆22Jan 15, 2025Updated last year
- Minimal entropic value at risk (EVaR) portfolio construction under a Gaussian mixture model of returns.☆22May 8, 2024Updated last year
- Implementation of optimisation analytics for constructing and backtesting optimal portfolios in Python☆62Jan 19, 2026Updated last month
- ☆41Dec 20, 2025Updated 2 months ago
- Hexital - Incremental Technical Analysis Library☆26Jan 28, 2026Updated last month
- Overlapping-generations macroeconomic model for evaluating fiscal policy in the United States☆27Oct 3, 2025Updated 5 months ago
- A short course on temporal point process and modeling irregular time series☆21Nov 20, 2020Updated 5 years ago
- Markov Chain Monte Carlo Visualization Tools☆25Jan 15, 2026Updated last month
- R package for inference on the Sharpe ratio.☆20Dec 21, 2024Updated last year
- ☆68Aug 31, 2024Updated last year